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veronica_gxy · 2021年05月04日

麻烦翻译一下题目

NO.PZ2016031001000084

问题如下：

The bond equivalent yield of a 180-day banker’s acceptance quoted at a discount rate of 4.25% for a 360-day year is closest to:

选项：

A.

4.31%.

B.

4.34%.

C.

4.40%.

解释：

C is correct.

The bond equivalent yield is closest to 4.40%. The present value of the banker’s acceptance is calculated as:

$PV=FV\times{(1-\frac{Days}{Year}\times DR)}$

where:

PV = present value, or price of the money market instrument

FV = future value paid at maturity, or face value of the money market instrument

Days = number of days between settlement and maturity

Year = number of days in the year

DR = discount rate, stated as an annual percentage rate

$PV=100\times{(1-\frac{Days}{Year}\times DR)}$

$PV=100\times{(1-\frac{180}{360}\times0.0425)}$

PV = 100 × (1 – 0.02125)

PV = 100 × 0.97875

PV = 97.875

The bond equivalent yield (AOR) is calculated as:

$AOR={(\frac{Year}{Days})}\times{(\frac{FV-PV}{PV})}$

where:

PV = present value, principal amount, or the price of the money market instrument

FV = future value, or the redemption amount paid at maturity including interest

Days = number of days between settlement and maturity

Year = number of days in the year

AOR = add-on rate (bond equivalent yield), stated as an annual percentage rate

$AOR={(\frac{365}{180})}\times{(\frac{100-PV}{PV})}$

$AOR={(\frac{365}{180})}\times{(\frac{100-97.875}{97.875})}$

AOR = 2.02778 × 0.02171

AOR = 0.04402, or approximately 4.40%

Note that the PV is calculated using an assumed 360-day year and the AOR (bond equivalent yield) is calculated using a 365-day year.

题目没读懂、麻烦翻译一下题目

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吴昊_品职助教 · 2021年05月04日

嗨，爱思考的PZer你好：

同学你好：

这里的考点是discount yield和 add-on yield之间的转换。已知discount rate，求BEY。考察的就是下图中的两个公式。

1.题目给出了discount rate=4.25%，代入下图第一个公式：可以算出PV=100×（1-180/360×4.25%）=97.875。

2.然后通过计算出来的PV再计算BEY（用下图第二个公式的变形）。BEY就是365天形式的add-on-yield，所以第二个公式中的year要代入365。

BEY=365/180×(100-97.875)/97.875=4.40%

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就算太阳没有迎着我们而来，我们正在朝着它而去，加油！

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